Module net.finmath.lib

Package net.finmath.singleswaprate.annuitymapping

Class SimplifiedLinearAnnuityMapping

java.lang.Object

net.finmath.singleswaprate.annuitymapping.SimplifiedLinearAnnuityMapping

All Implemented Interfaces:

AnnuityMapping

public class SimplifiedLinearAnnuityMapping
extends Object
implements AnnuityMapping

Provides a light-weight linear annuity mapping.

Author:

Christian Fries, Roland Bachl

Nested Class Summary

Nested classes/interfaces inherited from interface net.finmath.singleswaprate.annuitymapping.AnnuityMapping

AnnuityMapping.AnnuityMappingType

Constructor Summary

Constructors

Constructor	Description
SimplifiedLinearAnnuityMapping(Schedule schedule, double initialAnnuity, double initialSwapRate, double discountFactor)
SimplifiedLinearAnnuityMapping(Schedule fixSchedule, Schedule floatSchedule, AnalyticModel model, String discountCurveName)	Construct the annuity mapping.

Method Summary

Modifier and Type	Method	Description
double	getFirstDerivative(double swapRate)	Return the first derivative of the annuity mapping for the given swap rate.
double	getSecondDerivative(double swapRate)	Return the second derivative of the annuity mapping for the given swap rate.
double	getValue(double swapRate)	Return the value the fraction of annuities take, when the realized swap rate meets the given swap rate.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

SimplifiedLinearAnnuityMapping

public SimplifiedLinearAnnuityMapping(Schedule schedule,
                                      double initialAnnuity,
                                      double initialSwapRate,
                                      double discountFactor)

SimplifiedLinearAnnuityMapping

public SimplifiedLinearAnnuityMapping(Schedule fixSchedule,
                                      Schedule floatSchedule,
                                      AnalyticModel model,
                                      String discountCurveName)

Construct the annuity mapping.

Parameters:

fixSchedule - The schedule of the fix leg of the swap.

floatSchedule - The schedule of the float leg of the swap.

model - The model containing the curves.

discountCurveName - The discount curve.

Method Detail

getValue

public double getValue(double swapRate)

Description copied from interface: AnnuityMapping

Return the value the fraction of annuities take, when the realized swap rate meets the given swap rate.

Specified by:

getValue in interface AnnuityMapping

Parameters:

swapRate - The swap rate at which to evaluate the annuity mapping.

Returns:

The value of the annuity mapping.

getFirstDerivative

public double getFirstDerivative(double swapRate)

Description copied from interface: AnnuityMapping

Return the first derivative of the annuity mapping for the given swap rate.

Specified by:

getFirstDerivative in interface AnnuityMapping

Parameters:

swapRate - The swap rate at which to evaluate the annuity mapping.

Returns:

The first derivative of the annuity mapping.

getSecondDerivative

public double getSecondDerivative(double swapRate)

Description copied from interface: AnnuityMapping

Return the second derivative of the annuity mapping for the given swap rate.

Specified by:

getSecondDerivative in interface AnnuityMapping

Parameters:

swapRate - The swap rate at which to evaluate the annuity mapping.

Returns:

The second derivative of the annuity mapping.